I've indeed heard of grey crystals before.
The most common color for MDMA crystals that I've come across is amber/ orange-brown tint. Usually the crystal is translucent, not totally clear. I've read that a brownish color may indicate that safrole (oil used in manufacturing) was not totally cleaned from the final product. I have no idea how it might turn out grey through the manufacturing, though. But it does not at all mean you have something suspicious.
MDMA crystals can come in a variety of colors, including grey, black, pink and purple. Color is not at all a vital indicator but the most common color I've seen is the brown-orangey-yellow.